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Finite-Time Ruin Probabilities for Discrete, Possibly Dependent, Claim Severities

  • Stéphane Loisel

    ()

    (SAF - Laboratoire de Sciences Actuarielle et Financière - Université Claude Bernard - Lyon I : EA2429)

  • Claude Lefèvre

    ()

    (Département de Mathématique - Université Libre de Bruxelles)

This paper is concerned with the compound Poisson risk model and two generalized models with still Poisson claim arrivals. One extension incorporates inhomogeneity in the premium input and in the claim arrival process, while the other takes into account possible dependence between the successive claim amounts. The problem under study for these risk models is the evaluation of the probabilities of (non-)ruin over any horizon of finite length. The main recent methods, exact or approximate, used to compute the ruin probabilities are reviewed and discussed in a unified way. Special attention is then paid to an analysis of the qualitative impact of dependence between claim amounts.

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File URL: http://hal.archives-ouvertes.fr/docs/00/20/13/77/PDF/Lefevre-Loisel-ISFA-WP2045.pdf
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Paper provided by HAL in its series Post-Print with number hal-00201377.

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Date of creation: 2009
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Publication status: Published, Methodology And Computing In Applied Probability, 2009, 11, 3, 425-441
Handle: RePEc:hal:journl:hal-00201377
Note: View the original document on HAL open archive server: http://hal.archives-ouvertes.fr/hal-00201377/en/
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  1. Cossette, Helene & Marceau, Etienne, 2000. "The discrete-time risk model with correlated classes of business," Insurance: Mathematics and Economics, Elsevier, vol. 26(2-3), pages 133-149, May.
  2. Rulliere, Didier & Loisel, Stephane, 2004. "Another look at the Picard-Lefevre formula for finite-time ruin probabilities," Insurance: Mathematics and Economics, Elsevier, vol. 35(2), pages 187-203, October.
  3. Claude Lefèvre & Stéphane Loisel, 2008. "On Finite-Time Ruin Probabilities for Classical Risk Models," Post-Print hal-00168958, HAL.
  4. Ignatov, Zvetan G. & Kaishev, Vladimir K. & Krachunov, Rossen S., 2001. "An improved finite-time ruin probability formula and its Mathematica implementation," Insurance: Mathematics and Economics, Elsevier, vol. 29(3), pages 375-386, December.
  5. Frostig, Esther, 2003. "Ordering ruin probabilities for dependent claim streams," Insurance: Mathematics and Economics, Elsevier, vol. 32(1), pages 93-114, February.
  6. De Vylder, F. & Goovaerts, M. J., 1988. "Recursive calculation of finite-time ruin probabilities," Insurance: Mathematics and Economics, Elsevier, vol. 7(1), pages 1-7, January.
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